Sheik was inside Ganondorf castle, reporting to Ganondorf how Link has killed Volcania and freed the Fire Sage, Darunia. He didn't say anything to anyone, but he wasn't actually on Ganondorf's side, it was just a trap he secretely used to keep an eye on Ganondorf's actions. He was about to propose an idea to Ganondorf, but the latter didn't let him finish.

Ganondorf: Continue to keep an eye on the Hero or Time. And take your new partner with you.